arXiv subjects

Paul Rognon-Vael

Publications and source records attributed to Paul Rognon-Vael.

4 recordsLinked to original sources

arXiv2026

E-Values For Multiplicity Control In Multiverse Analysis

Multiverse analysis refers to a common situation where one wishes to assess the association between multiple possible treatment definitions and multiple possible outcome definitions, potentially within multiple sub-populations, among other possible analysis specifications. Multiverse analysis is a useful exploratory tool to assess heterogeneity across the considered specifications, but it is sometimes also used to assess statistical significance. In the latter case, it is critical to acknowledge that multiple comparisons are being performed, and to ensure a valid statistical control of false positive findings. We study the use of e-values within generalized linear models as a tool to control the false discovery rate regardless of the dependence structure of the multiple analyses being performed, while accounting for confounding covariates. We compare the performance of several approaches: universal e-values, soft-rank e-values, and p-to-e calibration. We find that, for problem characteristics typically encountered in multiverse analyses, p-to-e calibration significantly outperforms the other two approaches in terms of statistical power, but said power may be moderate unless the sample size or effect sizes are large enough. An application studying the association between teenager technology use and mental well-being reveals association between depression, low self-steem and peer problems with internet and social media usage.

stat.ME↗

arXiv2026

Improving variable selection properties with data integration and transfer learning

We study variable selection (also called support recovery) in high-dimensional sparse linear regression when one has external information on which variables are likely to be associated with the response. Consistent recovery is only possible under somewhat restrictive conditions on sample size, dimension, signal strength, and sparsity. We investigate how these conditions can be relaxed by incorporating said external information. A key application that we consider is structural transfer learning, where variables selected in one or more source datasets are used to guide variable selection in a target dataset. We introduce a family of likelihood penalties that depend on the external information, motivated by connections to Bayesian variable selection. We show that these methods achieve variable selection consistency in regimes where any method ignoring external information fails, and that they achieve consistency at faster rates. We first quantify the potential gains under ideal, oracle-chosen, penalties. We then propose computationally efficient empirical Bayes procedures that learn suitable penalties from the data. We prove that these procedures have improved variable selection properties compared to methods that do not use external information. We illustrate our approach using simulations and a genomics application, where results from mouse experiments are used to inform variable selection for gene expression data in humans.

math.ST↗

arXiv2026

Empirical Bayes for Data Integration

We discuss the use of empirical Bayes for data integration, in the sense of transfer learning. Our main interest is in settings where one wishes to learn structure (e.g. feature selection) and one only has access to incomplete data from previous studies, such as summaries, estimates or lists of relevant features. We discuss differences between full Bayes and empirical Bayes, and develop a computational framework for the latter. We discuss how empirical Bayes attains consistent variable selection under weaker conditions (sparsity and betamin assumptions) than full Bayes and other standard criteria do, and how it attains faster convergence rates. Our high-dimensional regression examples show that fully Bayesian inference enjoys excellent properties, and that data integration with empirical Bayes can offer moderate yet meaningful improvements in practice.

stat.ME↗

arXiv2026

Sparse Nonparametric Contextual Bandits

We study the benefits of sparsity in nonparametric contextual bandit problems, in which the set of candidate features is countably or uncountably infinite. Our contribution is two-fold. First, using a novel reduction to sequences of multi-armed bandit problems, we provide lower bounds on the minimax regret, which show that polynomial dependence on the number of actions is generally unavoidable in this setting. Second, we show that a variant of the Feel-Good Thompson Sampling algorithm enjoys regret bounds that match our lower bounds up to logarithmic factors of the horizon, and have logarithmic dependence on the effective number of candidate features. When we apply our results to kernelised and neural contextual bandits, we find that sparsity enables better regret bounds whenever the horizon is large enough relative to the sparsity and the number of actions.

stat.ML↗